White Paper – Jun 13, 2019

White paper | LIBOR Will Not Transition Quietly: What You Need to Know Now

Entrenched in the markets since 1986, LIBOR is currently tied to approximately $400 trillion of financial contracts for derivatives, bonds, mortgages, and retail and commercial loans. Because of its huge embeddedness in the capital markets, the... Read More

Featured LIBOR Transition and Multi-Curve Pricing Research & Insights

White Paper – Mar 20, 2019
The Impact of LIBOR's Phaseout on Technology

In this Q&A, we discuss the technology perspective tied to the switch to the LIBOR alternative reference rates

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On-Demand Webinar – Mar 27, 2019
Risk.net/Numerix: Transitioning to a Post-LIBOR World

This webinar provides a critical understanding of Libor’s current status and advancing technology to prepare for market changes

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Video Blog – Mar 6, 2019
The LIBOR Transition | The Current State of the Alternative Reference Rates

In this animated video, we show you the progress of each selected alternative reference rate towards readiness for the LIBOR decommission

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On-Demand Webinar – Jan 18, 2019
Moving Beyond LIBOR with Numerix Multi-Curve Framework

On-Demand Solution Webinar

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On-Demand Webinar – Dec 12, 2018
SOFR - Understanding New U.S. LIBOR Alternative

Numerix On-Demand Webinar

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Preparing for a World Without LIBOR: Where Are We Now?
On-Demand Webinar – Nov 28, 2018
Preparing for a World Without LIBOR

Numerix On-Demand Webinar

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Analyst Report – Oct 15, 2018
Risk.net Beyond LIBOR Special Report 2018

In this research paper, Andrew McClelland PhD and Financial Engineering specialist at Numerix, examines the differences between risk-neutral dynamics and real-world dynamics, and the important role of risk premia.

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White Paper – Oct 10, 2018
The 5 Top-of-Mind Issues Dominating the LIBOR Transition

Learn what we believe to be the 5 top-of-mind issues facing market participants today.

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Conference Presentation – Feb 28, 2019
LIBOR Alternative Rates, Technology, and Risk: Understanding and Managing the Challenges

This presentation entitled “LIBOR Alternative Rates, Technology, and Risk: Understanding and Managing the Challenges” was given by Liang Wu of Numerix at the 2019 GARP Risk Convention in New York on February 26th.

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What Road Are You On? Determining a Path Forward in OIS Discounting
Often in life we hit a point where paths converge, we look back behind us at a dusty beaten trail and forward at a newly paved road. It may not always be obvious though which path will be easier. Few want to be the first to test new terrain or see...
Written Blog
OIS Discounting | What Road Are You On?

In this info graphic, Numerix asks "Which Road Are You On?" and explores the impact of the paradigm shift between a single curve LIBOR swap pricing framework and a multi-curve OIS discounting framework, as well as the potential pitfalls of the...
Info Graphic
Toyota Financial Services CrossAsset/OIS Case Study
Numerix provided TFS with the advanced and flexible analytical application it required to be ready to value its entire portfolio on a daily basis,using an OIS based methodology. With Numerix, TFS also gained the capability to structure and value...
Case Study
Swap Pricing at its Core: OIS Discounting and Curve Construction
Since July 2013 when the Financial Accounting Standards Board (FASB) issued guidance permitting firms to use the Fed Funds Effective Swap Rate (Fed Funds rate), or Overnight Index Swap (OIS) rate for derivatives discounting both buy- and sell-side...
Written Blog
FASB Shakes Up Hedge Accounting Standards - OIS Rate Adopted as New Benchmark

While OIS has emerged as the proxy for the risk-free rate and continues to emerge as the new standard for collateral discounting in the OTC markets, the story continues to evolve. In late July the Financial Accounting Standards Board (FASB)...
Video Blog
The True Cost of OTC Derivatives Funding - FVA, OIS and Profitability

Watch the Video: The True Cost of OTC Derivatives Funding - FVA, OIS, and Profitability
The question at the root of the OTC derivatives decision process, "Is this trade profitable?", may at its core seem like a simple proposition. But in the...
Video Blog
The Fundamentals of OIS Curve Construction - Where to Start

In this video blog Numerix CMO, Jim Jockle speaks with Olga Us, Senior Quantitative Analyst about her recent PRMIA Master Class lecture, "OIS discounting Valuation Approaches Re-examined." Olga explains the drivers behind this paradigm shift in...
Video Blog
Lack of local currency OIS markets problematic for Asia banks
Risk.net | June 26, 2013 | By Clive Davidson
Anna Barbashova of Numerix discusses the impact of OIS pricing and valuation on derivatives pricing.
In The News
Economic Value Adjustment – The Intersection of CVA, FVA, OIS, & CSAs for OTC Derivatives

In this video blog, Numerix experts discuss the historical context and interconnectivity between OIS discounting, cheapest-to-deliver, funding valuations adjustments, CVA, DVA, and CSAs – and why the entire Economic Value Adjustment is now critical...
Video Blog
OIS Discounting - To Clear Or Not To Clear?

Following the 2008 financial crisis, OTC derivative market participants have come to realize that the valuation of derivatives requires forecasting curves dependent on an underlying index? in addition to separate discounting curves dependent on...
Video Blog

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